Session MA3 - Portefeuille / Portfolio
Day Monday, May 04, 2009 Room Gérard Parizeau President Selim Mankai
Presentations
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10h30 AM- 10h55 AM |
A General Portfolio Selection Methodology Based On Data Envelopment Analysis |
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Mohamed Dia, Laurentian University, School of Commerce and Administration, 935 Ramsey Lake Road, Sudbury, Ontario, Canada, P3E 2C6 The aim of this research is to present a general methodology based on DEA for a portfolio selection of stocks, projects or any other assets. The methodology developed is illustrated through portfolios of projects and stocks, where its results are compared to those obtained by Eilat et al. (2006) and Ben Abdelaziz et al. (2007) models. |
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10h55 AM- 11h20 AM |
A Fuzzy Portfolio Management Model for the Holding Companies |
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Mohammad Shahalizadeh, Islamic Azad University-Tehran South Branch, Productivity and System Management Department, Jamalzadeh Shomali-Kooche khosro-, Tehran, Tehran, IRAN-Islamic Republic of, 14787-53615 A portfolio management model is developed by Shahalizadeh and Memariani (2007). Due to inherent uncertainty of stock markets, a fuzzy approach is employed to develop a new model for portfolio management by a holding company through integrating various financial considerations and mathematical methods. The model is implemented in an exploratory investigation of deviation variables to carry out sensitivity analysis. |
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11h20 AM- 11h45 AM |
Mutual Fund Tournament |
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Aymen Karoui, HEC Montréal, Méthodes quantitatives de gestion, 3000, chemin de la Côte-Sainte-Catherine, Montréal, Québec, Canada, H3T 2A7 Iwan Meier, HEC Montréal, Finance This paper studies risk tournament among 1,233 active U.S. equity funds over the period 1991-2005. We verify whether fund managers alter their risk to increase the performance of their fund in the second part of the year. Expected results are relevant to explain risk taking behavior among mutual fund managers. |
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11h45 AM- 12h10 PM |
Economic Capital and Optimal Investment for Non-Life Insurance Companies |
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Selim Mankai, Université Paris Ouest La Défense Nanterre, Economie, 200 avenue de la République, 92001 Nanterre Cedex, Bâtiment G, Bureau 602, Nanterre, France, France, 92001 We propose two models to optimize capital and portfolio selection. We develop a curve of efficient portfolios satisfying shortfall constraint and analyze optimum sensitivity. Depending on adjustment costs, risk management with recapitalization is more effective than reducing assets risk under a fixed capital. Optimal solutions exhibit high sensitivity to initial surplus level and dependence structure between assets and liabilities. |